In addition to the five factors, dividends also affect the price of an option. The Black- Scholes Option Pricing Model with dividends is: C = Sxe-di x N (di) - Exe-R X N (de) di = [In(S/E) + (R d+o2/2) > t] (o x Vt) d2 = di - OxVt All of the variables are the same as the Black-Scholes model without dividends except for the variable d, which is the continuously compounded dividend yield on the stock. The put-call parity condition is also altered when dividends are paid. The dividend- adjusted put-call parity formula is: Sxe-dt + P = Exe-Ri + C where dis again the continuously compounded dividend yield. A stock is currently priced at $84 per share, the standard deviation of its return is 60 percent per year, and the risk-free rate is 5 percent per year, compounded continuously. What is the price of a put option with a strike price of $80 and a maturity of six months if the stock has a dividend yield of 3 percent per year? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Price of put option In addition to the five factors discussed in the chapter, dividends also affect the price of an option. The Black-Scholes option pricing model with dividends is: C = Sxe-di x N (d) - Exe-Rex N (de) di = [In(SIE) + (R d+o/2) xt]/(ox vt) d2 = d; - OxVt All of the variables are the same as the Black-Scholes model without dividends except for the variable d, which is the continuously compounded dividend yield on the stock. The put-call parity condition is altered when dividends are paid. The dividend-adjusted put-call parity formula is: Sxe-di + P = Exe-RI + C where d is again the continuously compounded dividend yield. A stock is currently priced at $87 per share, the standard deviation of its return is 50 percent per year, and the risk-free rate is 4 percent per year, compounded continuously. What is the price of a put option with a strike price of $85 and a maturity of six months if the stock has a dividend yield of 2 percent per year? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Price of put option